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Wednesday, December 21, 2011

"Information theory provides a constructive criterion for setting up probability distributions on the basis of partial knowledge, and leads to a type of statistical inference which is called the maximum entropy estimate. It is least biased estimate possible on the given information; i.e., it is maximally noncommittal with regard to missing information."

In other words, when we want to describe noisy data with a statistical model, we should always choose the one that has Maximum Entropy.